Your big issue is your trying to compare the immersion that comes from a co op and multiplayer focused game to a massive single player game.
When you co op in saints row or MW3 you get instant satisfaction, the immersion is right there in front of you, you don't have to earn any of it, that is why people have fun with those games.
For Skyrim to pay off in spades you basically have to allow yourself to be immersed and suck yourself into the world. The mechanics aren't what makes the game immersive. Its the experiences you have in the game that are unique that hook you. Unless you really sit down and play it and allow stuff to happen you will never see the really cool aspect of this game.
So put a block of time aside, don't talk to friends, don't chat online, don't go anywhere, and just play Skyrim. Allow yourself to put your imagination and curiosity in the game and just go explore and get into trouble. If that doesn't work Skyrim just isn't for you.